Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0033
Annualized Std Dev 0.1548
Annualized Sharpe (Rf=0%) -0.0214

Row

Daily Return Statistics

Close
Observations 4940.0000
NAs 1.0000
Minimum -0.1301
Quartile 1 -0.0032
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0038
Maximum 0.2028
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0098
Skewness 0.2174
Kurtosis 67.9333

Downside Risk

Close
Semi Deviation 0.0072
Gain Deviation 0.0076
Loss Deviation 0.0088
Downside Deviation (MAR=210%) 0.0119
Downside Deviation (Rf=0%) 0.0072
Downside Deviation (0%) 0.0072
Maximum Drawdown 0.5865
Historical VaR (95%) -0.0114
Historical ES (95%) -0.0227
Modified VaR (95%) -0.0020
Modified ES (95%) -0.0020
From Trough To Depth Length To Trough Recovery
2007-05-03 2008-12-15 NA -0.5865 3496 410 NA
2001-08-24 2004-05-13 2005-09-06 -0.2166 1011 680 331
2005-09-07 2005-10-18 2006-01-09 -0.0687 86 30 56
2007-01-03 2007-01-10 2007-04-05 -0.0447 65 6 59
2006-09-28 2006-10-17 2006-12-26 -0.0394 62 14 48

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA NA NA 0.1 -0.5 -0.3 0.4 0.5 0.2 0.5
2002 -0.4 -0.6 -1.1 1.1 0.4 0.1 0.6 -0.5 0.4 0.7 1.5 0.4 2.4
2003 0.5 0.9 0.1 0.9 0.3 -0.2 -0.7 0.8 0.7 0.5 0.2 0.5 4.4
2004 -0.1 -0.6 0.5 -0.1 0.2 0.4 0.4 0.2 -0.2 0.1 0.1 0.2 1.2
2005 0.2 0.4 0.6 0.5 0.3 -0.1 0 0.5 1.3 0.5 0.2 -0.4 3.9
2006 0.2 -1 0 -0.3 0.9 -0.3 0.1 0 -0.5 -0.3 -0.3 1.8 0.4
2007 0.1 0.1 0.5 -0.2 0.2 0.2 -0.1 -0.1 -0.4 -0.6 0 0.9 0.4
2008 1.2 -1.7 1.1 -1.1 -0.8 -0.1 -0.3 0.5 -0.2 -0.5 -5.1 2 -5.1
2009 0.6 1.1 1.5 2.1 0.3 0.8 0.8 1.1 0.4 -1.2 0.9 -0.5 8.1
2010 -0.4 0.5 -0.1 -0.9 0.2 0.4 1 0 0 0.4 -0.1 1.2 2.2
2011 1 1 0.2 0.1 -1.3 0.3 1.1 1.4 0 0.3 0.9 0.2 5.2
2012 0.1 0.2 0.4 0.2 0.3 0.1 -1.8 -0.7 1.5 0.7 0.5 0.6 2
2013 -0.3 -0.4 -0.6 0.6 -3 -0.1 -0.4 -0.4 0.1 -0.3 -0.7 -0.5 -5.8
2014 0.6 -0.7 -0.3 0.3 0.1 0.1 0.6 0 0.7 -0.1 0.5 -0.1 1.5
2015 0.5 1.3 0 -0.8 0.5 0.8 0.9 0.9 0.4 0.6 1.2 0.3 6.9
2016 0.8 0.5 -0.1 0.9 1.5 0 0.4 0.6 0.2 -0.4 -0.6 -0.2 3.5
2017 -0.2 -0.6 0.2 0.3 0.4 0 -0.4 0.1 0.3 -0.6 0.3 -0.1 -0.4
2018 -0.4 -0.2 -0.5 0 -0.3 0.2 -0.1 0.8 -0.4 0.4 0 0.4 0
2019 0.1 0.2 0.2 0.2 0.7 -0.2 0.5 -0.3 0.1 0.1 0.1 0.3 1.9
2020 0.1 -0.4 -3.5 0.6 0.9 0.2 0.4 0.3 0.4 -0.5 0.7 0.1 -0.8
2021 0.1 0.4 0.1 NA NA NA NA NA NA NA NA NA 0.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2001-07-27  15.1 SPY    121.  3.80e-3  -0.0044  -0.0055  -0.0395   -0.169       NA       NA <NA>     NA    NA       NA
2 2001-07-30  15.1 SPY    121.  3.00e-4   0.016   -0.0106  -0.0325   -0.150       NA       NA <NA>     NA    NA       NA
3 2001-07-31  15   SPY    121.  4.10e-3   0.0301  -0.0102  -0.0449   -0.151       NA       NA <NA>     NA    NA       NA
4 2001-08-01  15.0 SPY    122.  6.30e-3   0.0253  -0.0163  -0.0371   -0.151       NA       NA <NA>     NA    NA       NA
5 2001-08-02  15.1 SPY    123.  4.10e-3   0.0188  -0.012   -0.0208   -0.152       NA       NA <NA>     NA    NA       NA
6 2001-08-03  15.0 SPY    122. -5.50e-3   0.0094   0.0021  -0.0424   -0.162       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart